Transfer mushrooms to a food processor and pulse until minced. Set aside.
Cook the aromatics:
Heat the avocado oil in a wide pot over medium heat. Add the onion and cook for 6-7 minutes until softens.
Add the diced bell peppers and diced jalapeño pepper and cook for 5-7 minutes more until they begin to soften.
Cook the mushrooms:
Add the mushrooms and cook for 10 minutes, adding more oil if necessary, until the mushrooms are softened and beginning to brown. Season with salt and pepper.
Add the red lentils and stir to combine.
Finish the sloppy joe mixture:
Stir in the tomato paste and cook for 2 minutes, coating as many of the vegetables and lentils with the paste as possible.
Add the Worcestershire and toss to combine.
Stir in the ketchup, Dijon mustard, and brown sugar. Add the tomatoes and toss to combine. Taste and season with salt and pepper.
Add the water and bring to a boil. Reduce heat, cover, and simmer for 30 minutes or until the lentils are tender. Taste and season once more to your preferences.